Suppose the momentum strategy (i.e., buy past winners and

short past losers) yields impressive returns on average

because it really represents compensation for some type of

risk that investors are concerned about (instead of just being

lucky). Under this scenario, would you expect the momentum

strategy to still yield positive returns on average in the future?

Answer rating: 100% (QA)

Even if the momentum strategy is truly capturing a risk premium it could still yield positive return... View the full answer